Adjoint differentiation for generic matrix functions
نویسندگان
چکیده
We derive a formula for the adjoint Ā of square-matrix operation form f(A), where f is holomorphic in neighborhood each eigenvalue.We consider special cases such as spectral decomposition A = UDU-1 and spectrum cutoff f(A) A+ symmetric A. then apply to closed-form expressions particular interest quantitative finance “nearest correlation matrix” routine regularized linear regression.
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ژورنال
عنوان ژورنال: Journal of Computational Finance
سال: 2022
ISSN: ['1460-1559', '1755-2850']
DOI: https://doi.org/10.21314/jcf.2022.024